Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0013 |
| Annualized Std Dev | 0.1819 |
| Annualized Sharpe (Rf=0%) | -0.0073 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4715.0000 |
| NAs | 1.0000 |
| Minimum | -0.2612 |
| Quartile 1 | -0.0035 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0042 |
| Maximum | 0.1894 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0115 |
| Skewness | -2.8336 |
| Kurtosis | 97.5879 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0088 |
| Gain Deviation | 0.0084 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0087 |
| Downside Deviation (0%) | 0.0087 |
| Maximum Drawdown | 0.6738 |
| Historical VaR (95%) | -0.0135 |
| Historical ES (95%) | -0.0262 |
| Modified VaR (95%) | -0.0037 |
| Modified ES (95%) | -0.0037 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-12-30 | 2008-12-15 | 2019-08-02 | -0.6738 | 3420 | 745 | 2675 |
| 2019-08-09 | 2020-03-18 | NA | -0.3731 | 407 | 153 | NA |
| 2002-07-01 | 2004-05-24 | 2005-06-06 | -0.1441 | 739 | 479 | 260 |
| 2005-07-13 | 2005-10-19 | 2005-12-13 | -0.0649 | 108 | 70 | 38 |
| 2005-06-08 | 2005-06-13 | 2005-06-24 | -0.0072 | 13 | 4 | 9 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | NA | NA | -1 | 0.2 | 0.1 | 0.1 | 0.5 | -0.6 | 0.5 | -0.2 |
| 2003 | -0.3 | -0.3 | 0.3 | 0.4 | 1 | 0 | -0.4 | 0.4 | 0.5 | 0.4 | 0.4 | 0.3 | 2.7 |
| 2004 | 0.7 | -0.2 | 0 | 0.3 | -0.4 | 0.7 | 0.7 | -0.1 | 0.3 | -0.1 | 1 | 1 | 4 |
| 2005 | 0.1 | -0.2 | 1.1 | 0.2 | 0.4 | -0.5 | 0.1 | 0 | 0.5 | 0.3 | 0.7 | -0.9 | 1.9 |
| 2006 | -2.4 | -0.1 | 0.8 | 0.6 | 1 | 0.4 | 0.1 | 0 | -0.7 | -0.5 | 0.3 | 0.1 | -0.4 |
| 2007 | 0.6 | -0.1 | -0.2 | 0.4 | 0.1 | 0.5 | 0.5 | 0.5 | 0.1 | -1.6 | 0.5 | -0.4 | 1 |
| 2008 | 0.3 | -1.4 | 0.4 | -0.1 | 0.4 | 0.5 | -0.5 | -0.4 | 2.3 | -0.7 | -26.1 | 2.1 | -23.9 |
| 2009 | -0.3 | -1.2 | 0.7 | 2.2 | 0.7 | 1.8 | 2 | 0.3 | 0.4 | -0.4 | 0.1 | 0.8 | 7.5 |
| 2010 | 1.4 | 0 | 0 | 0.5 | 0.5 | -0.4 | 1.1 | -0.2 | 0.1 | -0.4 | -1.1 | 1.4 | 2.9 |
| 2011 | 1 | 0.1 | 0.5 | 0.1 | 0.1 | 0.3 | 1.7 | 0 | -1 | -0.6 | 0.2 | 0.4 | 2.7 |
| 2012 | -0.4 | 1.3 | -0.3 | 0.4 | 0 | 0.6 | 0.5 | -0.1 | 0.7 | 0.8 | 0.2 | 0.8 | 4.6 |
| 2013 | -0.1 | 0.2 | -0.4 | 0.6 | -2.1 | 0.6 | -1.3 | 0 | 0.3 | -1.5 | 0.3 | -0.4 | -3.8 |
| 2014 | 0.8 | 0.9 | 0.1 | 0.3 | 0.1 | -0.5 | 0.3 | 0.4 | 0.4 | -0.3 | -0.1 | 0 | 2.5 |
| 2015 | 0.8 | 1.1 | 0.5 | -1.4 | 0.1 | 0.7 | 0.9 | 0 | -0.1 | 0.4 | 0.8 | -0.6 | 3.2 |
| 2016 | 0.6 | 0.6 | 0 | 0.4 | 1.6 | 0.3 | -0.1 | -0.1 | 0.3 | 0.7 | -2 | 0.7 | 2.9 |
| 2017 | 0.2 | -0.6 | -0.1 | 0.2 | 0.3 | 0.4 | 0.3 | -0.2 | -0.1 | 0.5 | 0.5 | -0.5 | 1.1 |
| 2018 | -0.1 | 0.1 | 1.4 | 0.2 | 1.1 | 0.3 | 0.4 | 0.2 | 0 | 0.7 | -0.1 | 0.2 | 4.5 |
| 2019 | -0.5 | -0.3 | 0.1 | 1.2 | 0.1 | 0.9 | 0 | 0.1 | 0.8 | 0.1 | 0.4 | 0.3 | 3.2 |
| 2020 | 0.3 | -3.4 | -6 | 0.2 | 1.3 | 0.4 | 0.4 | 1 | 0.8 | -0.2 | -0.4 | 0.9 | -4.6 |
| 2021 | 0.4 | 0.1 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2002-06-26 15.0 SPY 97.7 0.0016 -0.0468 -0.096 -0.147 -0.202 -0.269 NA <NA> NA NA NA
2 2002-06-27 15.2 SPY 99.4 0.0175 -0.0176 -0.0733 -0.132 -0.197 -0.253 NA <NA> NA NA NA
3 2002-06-28 15.2 SPY 99.0 -0.0047 -0.0032 -0.0751 -0.136 -0.194 -0.250 NA <NA> NA NA NA
4 2002-07-01 15.0 SPY 97.0 -0.0195 -0.0278 -0.095 -0.148 -0.203 -0.263 NA <NA> NA NA NA
5 2002-07-02 15.1 SPY 95.0 -0.0212 -0.0265 -0.0901 -0.161 -0.219 -0.288 NA <NA> NA NA NA
6 2002-07-03 15.1 SPY 95.5 0.0057 -0.0226 -0.0872 -0.152 -0.214 -0.290 NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
